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Generates simulated paths from various financial stochastic volatility models with jumps and applies the discrete nonlinear filter (DNF) of Kitagawa (1987) <doi:10.1080/01621459.1987.10478534> to compute likelihood evaluations, filtering distribution estimates, and maximum likelihood parameter estimates. The algorithm is implemented following the work of Bégin and Boudreault (2021) <doi:10.1080/10618600.2020.1840995>.
| Version: | 0.1.8 |
| Imports: | Rcpp (≥ 1.0.9), methods |
| LinkingTo: | Rcpp |
| Published: | 2023-08-08 |
| Author: | Louis Arsenault-Mahjoubi [aut, cre], Jean-François Bégin [aut], Mathieu Boudreault [aut] |
| Maintainer: | Louis Arsenault-Mahjoubi <larsenau at sfu.ca> |
| License: | GPL-3 |
| NeedsCompilation: | yes |
| In views: | Finance |
| CRAN checks: | SVDNF results |
| Reference manual: | SVDNF.pdf |
| Package source: | SVDNF_0.1.8.tar.gz |
| Windows binaries: | r-devel: SVDNF_0.1.8.zip, r-release: SVDNF_0.1.8.zip, r-oldrel: SVDNF_0.1.8.zip |
| macOS binaries: | r-release (arm64): SVDNF_0.1.8.tgz, r-oldrel (arm64): SVDNF_0.1.8.tgz, r-release (x86_64): SVDNF_0.1.8.tgz, r-oldrel (x86_64): SVDNF_0.1.8.tgz |
| Old sources: | SVDNF archive |
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